Asset Pricing Models: A Comparative Exercise Using Neural Networks to the Colombian Stock Market
Abstract
This study seeks to evaluate the effectiveness that variables like firm size and book-to-market ratio—present in the model of Fama and French—have to capture the average expected return on assets, as compared to macroeconomic fundamentals or the market index. For this purpose, we used an artificial neural network model (ANN), which departs from a structure of non-linear estimation to capture some irregularities that characterize financial markets. We found that the Fama and French model accounts for the conditions of the Colombian stock market better, which suggests the importance of microeconomic risk factors to explain asset returns.Download Info
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Article provided by Universidad de Antioquia, Departamento de Economía in its journal LECTURAS DE ECONOMÍA.
Volume (Year): (2011)
Issue (Month): 75 ()
Pages: 59-87
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Web page: http://economia.udea.edu.co
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Postal: Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.
Related research
Keywords: asset pricing model; financial and macroeconomic variables; stock market; artificial neural networks;Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- D2 - Microeconomics - - Production and Organizations
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
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